//+------------------------------------------------------------------+
//|                                                  BacktestSystem.mqh |
//|                                  Copyright 2024, MetaQuotes Software |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2024, MetaQuotes Software"
#property link      "https://www.mql5.com"
#property version   "1.00"
#property strict

// 回测结果结构
struct BacktestResult {
    double initialBalance;         // 初始资金
    double finalBalance;           // 最终资金
    double totalProfit;            // 总盈利
    double totalLoss;              // 总亏损
    double netProfit;              // 净利润
    double profitFactor;           // 盈亏比
    double sharpeRatio;            // 夏普比率
    double sortinoRatio;           // 索提诺比率
    double maxDrawdown;            // 最大回撤
    double winRate;                // 胜率
    int totalTrades;               // 总交易次数
    int winningTrades;             // 盈利交易次数
    int losingTrades;              // 亏损交易次数
    double averageWin;             // 平均盈利
    double averageLoss;            // 平均亏损
    double largestWin;             // 最大盈利
    double largestLoss;            // 最大亏损
    datetime startTime;            // 开始时间
    datetime endTime;              // 结束时间
};

// 回测系统类
class CBacktestSystem {
private:
    // 回测参数
    string symbol;                 // 交易品种
    ENUM_TIMEFRAMES timeframe;     // 时间周期
    datetime startTime;            // 开始时间
    datetime endTime;              // 结束时间
    double initialBalance;         // 初始资金
    double commission;             // 手续费
    double slippage;               // 滑点
    
    // 回测结果
    BacktestResult result;
    
    // 交易记录
    struct Trade {
        datetime time;             // 交易时间
        int type;                  // 交易类型
        double volume;             // 交易量
        double price;              // 价格
        double profit;             // 盈亏
    };
    Trade trades[];
    
    // 初始化参数
    void InitializeParameters() {
        symbol = _Symbol;
        timeframe = PERIOD_CURRENT;
        startTime = 0;
        endTime = 0;
        initialBalance = 10000.0;
        commission = 0.0;
        slippage = 0.0;
    }
    
    // 计算夏普比率
    double CalculateSharpeRatio() {
        if(ArraySize(trades) < 2) return 0.0;
        
        double returns[];
        ArrayResize(returns, ArraySize(trades));
        
        for(int i = 1; i < ArraySize(trades); i++) {
            returns[i-1] = (trades[i].profit - trades[i-1].profit) / initialBalance;
        }
        
        double mean = 0.0;
        for(int i = 0; i < ArraySize(returns); i++) {
            mean += returns[i];
        }
        mean /= ArraySize(returns);
        
        double variance = 0.0;
        for(int i = 0; i < ArraySize(returns); i++) {
            variance += MathPow(returns[i] - mean, 2);
        }
        variance /= ArraySize(returns);
        
        double stdDev = MathSqrt(variance);
        if(stdDev == 0.0) return 0.0;
        
        return mean / stdDev * MathSqrt(252); // 年化
    }
    
    // 计算索提诺比率
    double CalculateSortinoRatio() {
        if(ArraySize(trades) < 2) return 0.0;
        
        double returns[];
        ArrayResize(returns, ArraySize(trades));
        
        for(int i = 1; i < ArraySize(trades); i++) {
            returns[i-1] = (trades[i].profit - trades[i-1].profit) / initialBalance;
        }
        
        double mean = 0.0;
        for(int i = 0; i < ArraySize(returns); i++) {
            mean += returns[i];
        }
        mean /= ArraySize(returns);
        
        double downsideVariance = 0.0;
        int downsideCount = 0;
        for(int i = 0; i < ArraySize(returns); i++) {
            if(returns[i] < 0) {
                downsideVariance += MathPow(returns[i], 2);
                downsideCount++;
            }
        }
        if(downsideCount > 0) {
            downsideVariance /= downsideCount;
        }
        
        double downsideDeviation = MathSqrt(downsideVariance);
        if(downsideDeviation == 0.0) return 0.0;
        
        return mean / downsideDeviation * MathSqrt(252); // 年化
    }
    
    // 计算最大回撤
    double CalculateMaxDrawdown() {
        if(ArraySize(trades) < 2) return 0.0;
        
        double balance = initialBalance;
        double maxBalance = balance;
        double maxDrawdown = 0.0;
        
        for(int i = 0; i < ArraySize(trades); i++) {
            balance += trades[i].profit;
            if(balance > maxBalance) {
                maxBalance = balance;
            }
            
            double drawdown = (maxBalance - balance) / maxBalance;
            if(drawdown > maxDrawdown) {
                maxDrawdown = drawdown;
            }
        }
        
        return maxDrawdown;
    }
    
    // 添加交易
    void AddTrade(datetime time, int type, double volume, double price, double profit) {
        int size = ArraySize(trades);
        ArrayResize(trades, size + 1);
        
        trades[size].time = time;
        trades[size].type = type;
        trades[size].volume = volume;
        trades[size].price = price;
        trades[size].profit = profit;
    }
    
    // 更新回测结果
    void UpdateResults() {
        result.initialBalance = initialBalance;
        result.finalBalance = initialBalance;
        result.totalProfit = 0.0;
        result.totalLoss = 0.0;
        result.winningTrades = 0;
        result.losingTrades = 0;
        result.largestWin = 0.0;
        result.largestLoss = 0.0;
        
        for(int i = 0; i < ArraySize(trades); i++) {
            result.finalBalance += trades[i].profit;
            
            if(trades[i].profit > 0) {
                result.totalProfit += trades[i].profit;
                result.winningTrades++;
                if(trades[i].profit > result.largestWin) {
                    result.largestWin = trades[i].profit;
                }
            } else {
                result.totalLoss += MathAbs(trades[i].profit);
                result.losingTrades++;
                if(trades[i].profit < result.largestLoss) {
                    result.largestLoss = trades[i].profit;
                }
            }
        }
        
        result.totalTrades = ArraySize(trades);
        result.netProfit = result.totalProfit - result.totalLoss;
        
        if(result.totalLoss > 0) {
            result.profitFactor = result.totalProfit / result.totalLoss;
        } else {
            result.profitFactor = 0.0;
        }
        
        if(result.totalTrades > 0) {
            result.winRate = (double)result.winningTrades / result.totalTrades;
        } else {
            result.winRate = 0.0;
        }
        
        if(result.winningTrades > 0) {
            result.averageWin = result.totalProfit / result.winningTrades;
        } else {
            result.averageWin = 0.0;
        }
        
        if(result.losingTrades > 0) {
            result.averageLoss = result.totalLoss / result.losingTrades;
        } else {
            result.averageLoss = 0.0;
        }
        
        result.sharpeRatio = CalculateSharpeRatio();
        result.sortinoRatio = CalculateSortinoRatio();
        result.maxDrawdown = CalculateMaxDrawdown();
        result.startTime = startTime;
        result.endTime = endTime;
    }
    
public:
    // 构造函数
    CBacktestSystem() {
        InitializeParameters();
    }
    
    // 析构函数
    ~CBacktestSystem() {
        ArrayFree(trades);
    }
    
    // 设置参数
    void SetParameters(string symbol, ENUM_TIMEFRAMES timeframe, datetime startTime,
                      datetime endTime, double initialBalance, double commission,
                      double slippage) {
        this.symbol = symbol;
        this.timeframe = timeframe;
        this.startTime = startTime;
        this.endTime = endTime;
        this.initialBalance = initialBalance;
        this.commission = commission;
        this.slippage = slippage;
    }
    
    // 运行回测
    void RunBacktest() {
        // 这里需要实现回测逻辑
        // 示例使用模拟数据
        datetime currentTime = startTime;
        while(currentTime <= endTime) {
            // 模拟交易
            double price = iClose(symbol, timeframe, 0);
            double volume = 0.1;
            double profit = (MathRand() % 100 - 50) * 0.1;
            
            AddTrade(currentTime, OP_BUY, volume, price, profit);
            
            currentTime += PeriodSeconds(timeframe);
        }
        
        UpdateResults();
    }
    
    // 获取回测结果
    void GetResults(BacktestResult &results) {
        results = result;
    }
    
    // 生成回测报告
    string GenerateReport() {
        string report = "回测报告\n";
        report += "----------------------------------------\n";
        report += "初始资金: " + DoubleToString(result.initialBalance, 2) + "\n";
        report += "最终资金: " + DoubleToString(result.finalBalance, 2) + "\n";
        report += "总盈利: " + DoubleToString(result.totalProfit, 2) + "\n";
        report += "总亏损: " + DoubleToString(result.totalLoss, 2) + "\n";
        report += "净利润: " + DoubleToString(result.netProfit, 2) + "\n";
        report += "盈亏比: " + DoubleToString(result.profitFactor, 2) + "\n";
        report += "夏普比率: " + DoubleToString(result.sharpeRatio, 2) + "\n";
        report += "索提诺比率: " + DoubleToString(result.sortinoRatio, 2) + "\n";
        report += "最大回撤: " + DoubleToString(result.maxDrawdown * 100, 2) + "%\n";
        report += "胜率: " + DoubleToString(result.winRate * 100, 2) + "%\n";
        report += "总交易次数: " + IntegerToString(result.totalTrades) + "\n";
        report += "盈利交易次数: " + IntegerToString(result.winningTrades) + "\n";
        report += "亏损交易次数: " + IntegerToString(result.losingTrades) + "\n";
        report += "平均盈利: " + DoubleToString(result.averageWin, 2) + "\n";
        report += "平均亏损: " + DoubleToString(result.averageLoss, 2) + "\n";
        report += "最大盈利: " + DoubleToString(result.largestWin, 2) + "\n";
        report += "最大亏损: " + DoubleToString(result.largestLoss, 2) + "\n";
        report += "开始时间: " + TimeToString(result.startTime) + "\n";
        report += "结束时间: " + TimeToString(result.endTime) + "\n";
        
        return report;
    }
    
    // 清除回测数据
    void ClearData() {
        ArrayFree(trades);
        InitializeParameters();
    }
}; 